The Spaniard trailed the fifth-seeded Russian 5-2 in the decider.
"The end of the set was a little bit crazy," said Lopez. "Honestly, I think I was lucky. I came back, I don't know how."
Lopez started the match badly, losing the opening three games. Ranked 41st, Lopez has struggled since losing the 2004 Dubai final to Roger Federer.
"It's not a problem of my game, it's a problem of my head," Lopez said.
Davydenko blamed his defeat on fatigue and tactics.
"I tried to win from (the) baseline, but I can't," Davydenko said.
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